System and method for timed order entry and modification

ABSTRACT

A system and method for defining and processing timed orders are defined. According to one embodiment, a trader may define a timed order by defining an intra-day time trigger or a time period when the timed order should be automatically modified, such as deleted or cancelled/replaced with a new order. In one embodiment, the intra-day time trigger or time period may be dynamically changed to a later time, for example, upon receiving a predetermined user input. Also, the time trigger and time period may be configured to dynamically vary based on any user configurable formula. Also, the timed order may be associated with one or more actions to be taken once the order is deleted, such as sending a new order, for example.

CROSS-REFERENCE TO RELATED APPLICATIONS

The present application is a continuation of U.S. patent applicationSer. No. 10/609,869, filed Jun. 30, 2003 and entitled “System and Methodfor Timed Order Entry and Modification,” which issued as U.S. Pat. No.7,512,557 on Mar. 31, 2009.

FIELD OF INVENTION

The present invention is directed towards electronic trading. Morespecifically, the present invention is directed to tools for assisting atrader in trading in an electronic trading environment.

BACKGROUND

Trading methods have evolved from a manually intensive process to atechnology enabled, electronic platform. With the advent of electronictrading, a user or trader can be in virtually direct contact with themarket, from practically anywhere in the world, performing nearreal-time transactions, and without the need to make personal contactwith a broker.

Electronic trading is generally based on a host exchange, one or morecomputer networks, and client devices. In general, the host exchangeincludes one or more centralized computers to form the electronic heart.Its operations typically include order matching, maintaining order booksand positions, price information, and managing and updating a databasethat records such information. The host exchange is also equipped withan external interface that maintains uninterrupted contact to the clientdevices and possibly other trading-related systems.

Using client devices, market participants or traders link to the hostexchange through one or more networks. A network is a group of two ormore computers or devices linked together. There are many types of wiredand wireless networks such as local area networks and wide areanetworks. Networks can also be characterized by topology, protocol, andarchitecture. For example, some market participants may link to the hostthrough a direct connection such as a T1 or ISDN. Some participants maylink to the host exchange through direct connections and through othercommon network components such as high-speed servers, routers, andgateways. The Internet, a well-known collection of networks andgateways, can be used to establish a connection between the clientdevice and the host exchange. There are many different types of networksand combinations of network types known in the art that can link tradersto the host exchange.

Regardless of the way in which a connection is established, softwarerunning on the client devices allows market participants to log onto oneor more exchanges and participate in at least one market. A clientdevice is a computer such as a personal computer, laptop computer,hand-held computer, and so forth that has network access. In general,client devices run software that creates specialized interactive tradingscreens. Trading screens enable market participants to obtain marketquotes, monitor positions, and submit orders to the host.

Generally, when an order is submitted to a host exchange, the hostchecks the conditions associated with the order, for example price andquantity, and prioritizes the order with other orders of the same price.When the order conditions are satisfied in the market, a trade occursand trade information is then relayed in some fashion to one or moreclient devices. In fact, the host exchanges typically publish a datafeed to the client devices so that the traders can have access to themost current market information.

Market information commonly includes information regarding the insidemarket and market depth. The inside market is the lowest sell price inthe market and the highest buy price in the market at a particular pointin time. Market depth refers to quantities available at the insidemarket and may also refer to quantities available at other prices awayfrom the inside market. The quantity available at a given price level isusually provided by the host exchange in aggregate sums. In other words,a host exchange usually provides the total buy or the total sellquantity available in the market at a particular price level in its datafeed. The extent of the market depth available to a trader usuallydepends on the host exchange. For instance, some host exchanges providemarket depth for all or many price levels, while some provide onlyquantities associated with the inside market, and others may provide nomarket depth at all. Additionally, host exchanges can offer other typesof market information such as the last traded price (LTP), the lasttraded quantity (LTQ), and order fill information.

To profit in electronic markets, market participants must be able toassimilate large amounts of data, including market information providedby an exchange and, accordingly, react quicker than other competingmarket participants to take advantage of profitable market conditions orlimit trader's losses. Further, because electronic trading offers toolsthat enable traders to react to the market so much faster than in thetraditional pit environment, a trader risks and may lose a lot of moneyso much quicker.

One of many risks that traders are facing in an electronic tradingenvironment is having unfilled orders pending at an exchange after theend of the trading session, and risking a huge loss when the marketmoves against the trader's position the next day. To avoid such risks,some exchanges now offer good-till-day (“GTD”) orders that areautomatically deleted by an exchange at the end of the trading session.Other traders, on the other hand, don't mind taking such risks and keeptheir unfilled orders pending at an exchange for a number of consecutivedays. Such traders, however, don't want to have their orders pendingindefinitely and often take advantage of another order type offered bysome exchanges, i.e., a good-till-date (“GTDate”) order type, thatcauses an exchange to delete a pending unfilled order at the end of atrading session on a specific date. Some exchange also allow traders tosubmit orders known as “on market close” orders, which, rather thanbeing deleted at the end of the trading session, get executed at the endof the trading session. Even though the existing order types providesome assistance to traders, they don't provide flexibility desired bymost traders and limit traders to keeping their orders pending until theend of the trading session or until a specific date. It is thereforedesirable to offer automatic tools that can assist a market participantin adapting his or her trading strategy to an electronic marketplace.

BRIEF DESCRIPTION OF THE DRAWINGS

Example embodiments of the present invention are described herein withreference to the following drawings, in which:

FIG. 1 is an example network configuration for a communication systemutilized to access one or more exchanges;

FIG. 2 is an example system overview of a client device that may be usedto implement the example embodiments described herein;

FIG. 3 is a flow chart illustrating one example method for processingtimed orders in an electronic trading environment;

FIG. 4 is an example graphical display for configuring timed ordersaccording to one embodiment; and

FIG. 5 is another example graphical display that may be used forconfiguring timed orders according to another embodiment.

DETAILED DESCRIPTION I. Timed Orders Overview

The present invention provides a system and method for configuring andprocessing timed orders associated with at least one tradeable objectbeing traded in an electronic trading environment. According to oneexample method, a trader may configure a timed order by defining one ormore intra-day time triggers. For example, a first time trigger maydefine a first time during a trading session when the order should beautomatically modified. It should be understood that modification of anorder may include a number of actions, including deleting the order fromone or more electronic exchanges, canceling/replacing the order with anew order, or modifying one or more order parameters, for example. Also,in addition to the first time trigger, a second time trigger may bedefined to specify an order submission time during a trading sessionwhen the order should be automatically sent to the electronic exchange.

According to a preferred embodiment, the time triggers may be userconfigurable, and may include any user-configurable time during atrading session. Alternatively, rather than using a time triggerassociated with a specific time during a trading session, a trader maydefine an order that is good for a specific time period. In such anembodiment, once an order is submitted to an exchange, an order's timeris activated and, if the order does not get filled during the specifiedtime period, the order is automatically modified when the time periodexpires. It should be understood that many different embodiments arepossible to define when the order's timer is activated. For example, asmentioned above, the timer may be activated when a trader submits suchan order to an exchange. Alternatively, a timer may be linked to one ormore market data events or trader related data events that, whendetected, trigger the timer. Additionally, as will be described ingreater detail below, the time period associated with the timed ordermay be variable, and the length of the time period may be based on anyuser-configurable equation having one or more trader-related ormarket-related parameters.

According to another example method, in addition to defining a specifictime or time period in association with an order, a second parameter maybe specified to define one or more actions to be taken once the order isdeleted. For example, a post delete action may include sending one ormore replacement orders to the same or different exchanges. According toa preferred embodiment, a replacement order may be user configurable sothat a user can define one or more tradeable objects, one or moreelectronic exchanges, and an order quantity for the replacement order.Additionally, the electronic exchange, the tradeable object, and theorder quantity for the replacement order may be the same or differentthan those associated with the deleted order. In one embodiment, forexample, the order quantity of the replacement order may beautomatically set to an unfilled order quantity of the deleted order,and, similarly to the deleted order, a replacement order could be atimed order as well.

While the present invention is described herein with reference toillustrative embodiments for particular applications, it should beunderstood that the present invention is not limited thereto. Thosehaving ordinary skill of art will recognize that many additionalmodifications and embodiments are possible as well.

II. Hardware and Software Overview

FIG. 1 is a block diagram that illustrates an electronic trading system100 in accordance with the preferred embodiments. The system 100includes one or more exchanges 102, 104, 106 and one or more clientdevices 108, 110, 112. Intermediate devices such as gateways 114, 116,118, routers, and other such types of client devices may be used toconnect network 120 to networks 122, 124, 126 so that client devices108, 110 and 112 and exchanges 102, 104, and 106 can communicate marketinformation. It should be understood that the present invention is notlimited to any particular system configuration. For example, networks122, 124, and 126, or client devices 108, 110, 112 could connectseparately to gateways 114, 116, 118. Of course, there are many othersystem configurations on which the preferred embodiments may beimplemented.

A. Host Exchange

Host exchanges 102, 104, and 106 may represent electronic exchanges suchas, for example, the London International Financial Futures and OptionsExchange (“LIFFE”), the Chicago Board of Trade (“CBOT”), the New YorkStock Exchange (“NYSE”), the Chicago Mercantile Exchange (“CME”), theGerman stock exchange-Exchange Electronic Trading (“Xetra”), or theEuropean Exchange (“Eurex”), or any other exchange, which may includebasic to more complex systems that automatically and electronicallymatch incoming orders. These example exchanges and other exchanges arewell known in the art. Communication protocols required for connectivityto one of these exchanges are also well known in the art.

Exchanges 102, 104, 106 allow traders to log onto a market to tradetradeable objects. As used herein, the term “tradeable objects,” referssimply to anything that can be traded with a quantity and/or price. Itincludes, but is not limited to, all types of tradeable objects such asfinancial products, which can include, for example, stocks, options,bonds, futures, currency, and warrants, as well as funds, derivativesand metals. The tradeable object may be “real,” such as products thatare listed by an exchange for trading, or “synthetic,” such as acombination of real products that is created by the user. A tradeableobject could actually be a combination of other tradeable objects, suchas a class of tradeable objects.

An exchange 102, 104, 106 can implement numerous types of orderexecution algorithms, and sometimes the type of algorithm depends on thetradeable object being traded. The preferred embodiments may be adaptedby one skilled in the art of work with any particular order executionalgorithm. Some example order execution algorithms includefirst-in-first-out and pro rata algorithms. The first-in-first-out(FIFO) algorithm, used for some markets listed with Eurex for example,gives priority to the first person to place an order. The pro rataalgorithm, used for some markets listed with LIFFE for example, splitsall orders for the same price. The present invention is not limited toany particular type of order execution algorithm.

Regardless of the type of order execution algorithm used, each exchange102, 104, and 106 preferably provides similar types of information tosubscribing devices 108, 110, and 112. Market information may includedata that represents the inside market, which is the lowest sell price(best ask) and the highest buy price (best bid) at a particular point intime. Market information may also include market depth. Market depthrefers to quantities available at the inside market and can also referto quantities available at other prices away from the inside market. Thequantity available at a given price level is usually provided by thehost exchange in aggregate sums. In other words, the exchange usuallyprovides the total buy quantity and the total sell quantity available inthe market at a particular price level in its data feed. The extent ofthe market depth available to a trader usually depends on the exchange.For instance, some exchanges provide market depth for all (or most)price levels, while some provide only quantities associated with theinside market, and others may provide no market depth at all.Additionally, the exchanges 102, 104, 106 can offer other types ofmarket information such as the last traded price (LTP), the last tradedquantity (LTQ), and order fill information.

B. Gateway

Gateways 114, 116, 118 are devices such as a mainframe,superminicomputer, minicomputer workstation, microcomputer that connectnetwork 120 to networks 122, 124, 126 so that market information can besuccessfully passed between client devices 108, 110, 112 and exchanges102, 104, 106. Gateways 114, 116, 118 preferably receive marketinformation from the exchanges 102, 104, and 106 and convert it to aformat compatible with the protocols used by the client devices 108,110, 112 using conversion techniques known in the art. Also, as known bythose skilled in the art, gateways 114, 116, 118 may have one or moreservers to support data feeds, such as a price server for processingprice information, an order server for processing order information, anda fill server for processing fill information. A trader at one of theclient devices 108, 110, 112 can subscribe to price information, orderinformation, and fill information for a particular market hosted at theexchanges 102, 104, and 106. The gateways 114, 116, and 118 alsopreferably receive transaction information, such as orders, orderchanges, queries, etc., from the client devices 108, 110, and 112 andforward that information to corresponding exchanges 102, 104, and 106.

C. Client Device

The client devices 108, 110, and 112 are devices that provide aninterface for traders to trade at one or more markets listed with one,some, or all of the exchanges 102, 104, and 106. Some examples of clientdevices include a personal computer, laptop computer, handheld computer,and so forth. The client devices 108, 110, and 112, according to onepreferred embodiment, include at least a processor and memory. Theprocessor and memory, both well known computer components, are not shownin FIG. 1 for sake of clarity. Preferably, the processor has enoughprocessing power to handle and process various types of marketinformation. It should be understood that more market information isreceived and processed, the more processing power is preferred. However,any present day processor has enough capability to perform at least themost basic part of the present invention.

Memory may include a computer readable medium. The term computerreadable medium, as used herein, refers to any medium that participatesin providing instructions to processor for execution. Such a medium maytake many forms, including but not limited to, non-volatile media, andtransmission media. Non-volatile media includes, for example, optical ormagnetic disks, such as a storage device. Volatile media include dynamicmemory, such as main memory or random access memory (“RAM”). Commonforms of computer-readable media include, for example, a floppy disk, aflexible disk, a hard disk, a magnetic tape, or any other magneticmedium, a CD-ROM, any optical medium, punch cards, paper tape, any otherphysical medium with patterns of holes, a RAM, a PROM, and EPROM, aFLASH-EPROM, and any other memory chip or cartridge, or any other mediumfrom which a computer can read.

The client devices 108, 110, and 112 receive market information from anyof the exchanges 102, 104, and 106. According to the preferredembodiments, market information is displayed to the trader(s) on thevisual output device or display device of the client devices 108, 110,and 112. The output device can be any type of display. For example, thedisplay could be a CRT-based video display, an LCD-based or a gasplasma-based flat-panel display, a display that shows three-dimensionalimages, or some other display type. The present invention is not limitedto any particular type of display.

Upon viewing the market information or a portion thereof, a trader maywish to send orders to an exchange, cancel orders in a market, query anexchange, and so on. To do so, the trader may input various commands orsignals into the client devices 108, 110, and 112, for example, bytyping into a keyboard, inputting commands through a mouse, or inputtingcommands or signals through some other input devices. Upon receiving oneor more commands or signals, the client devices 108, 110, and 112preferably generate transaction information. For instance, a trader mayclick a mouse button to initiate an order to buy a tradeable object.Then, transaction information would include an order to buy a particularquantity of the tradeable object at a particular price. There are manydifferent types of messages and/or order types that can be submitted,all of which may be considered various types of transaction information.Once generated, transaction information is sent from the client devices108, 110, and 112 to the host exchange 102, for example, over thenetworks 120, 122, 124, and 126.

FIG. 2 shows an overview of an example client device 200 which may besimilar to the type of client devices 108, 110, 112 shown in FIG. 1. Theclient device 200 can be any particular type of computing device,examples of which were enumerated above with respect to the clientdevices. According to the preferred embodiments, the client device 200has a trading application 202 stored in memory that when executedarranges and displays market information in many particular ways,usually depending on how the trader prefers to view the information. Thetrading application 202 may also implement the preferred embodimentsdescribed herein. Alternatively, the preferred embodiments describedherein may occur elsewhere such as outside of the trading application202 on the client device 200, on a gateway, or on some other computingdevice. Preferably, the trading application 202 has access to marketinformation through an API 204 (or application programming interface),and the trading application 202 can also forward transaction informationto the exchange 210 via the API 204. Alternatively, the API 204 could bedistributed so that a portion of the API rests on the client device 200and a gateway, or at the exchange 210. Additionally, the tradingapplication 202 may receive signals from the input device 212 via theinput device interface 206 and can be given the ability to send signalsto a display device 214 via a display device interface 208.

D. Trading Interface

A commercially available trading application that allows a user to tradein a system like the one shown in FIG. 1 is X_TRADER® from TradingTechnologies International, Inc. of Chicago, Ill. X_TRADER® alsoprovides an electronic trading interface, referred to as MD Trader™, inwhich working orders and/or bid and ask quantities are displayed inassociation with a static axis of prices. Portions of the X_TRADER® andthe MD Trader™-style display are described in U.S. patent applicationSer. No. 09/590,692, entitled “Click Based Trading With Intuitive GridDisplay of Market Depth,” filed on Jun. 9, 2000, now U.S. Pat. No.6,772,132; U.S. patent application Ser. No. 09/971,087, entitled “ClickBased Trading With Intuitive Grid Display of Market Depth and PriceConsolidation,” filed on Oct. 5, 2001, now U.S. Pat. No. 7,127,424; andU.S. patent application Ser. No. 10/125,894, entitled “Trading Tools ForElectronic Trading,” filed on Apr. 19, 2002, now U.S. Pat. No.7,389,268, the contents of which are incorporated herein by reference.Further, it should be understood that orders in the system illustratedin FIG. 1 could also be placed using any automatic trading applicationsas well. Additionally, the preferred embodiments are not limited to anyparticular product that performs translation, storage and displayfunctions.

III. Timed Order Entry and Modification

A trader may configure a number of timed orders to be sent to anelectronic exchange. According to a preferred embodiment, orderparameters associated with the timed orders include an order lifetimeperiod parameter that may be used by a trader to define a time when theorder should be modified such as deleted, cancelled/replaced with a neworder, or changed, for example.

It should be understood that the order lifetime period may be definedusing many different methods. In one embodiment, an order may be goodfor a particular time period defined with an order timer that may betriggered upon detecting that the order has been submitted to anexchange. Alternatively, rather than triggering the timer upon detectingsubmission of the order to an exchange, the timer may be triggered upondetecting one or more predetermined events. The events that triggerstart of the timer may be any user-related events or market data relatedevents. Additionally, it should be understood that the length of theorder activity time period may be dynamic rather than static, and thelength of the order time period may dynamically change based on anyuser-defined equation or formula having one or more user-related ormarket data related parameters. For example, the time period may beconfigured so that its length can dynamically change based on marketvolatility, or upon detecting some events, such as detecting a suddenmarket movement, or receiving predetermined data from outside sources,such as receiving an unemployment number, for example. Alternatively,rather than defining a good for a particular time period order, a tradermay define an order that will be good until a specific time. In such anembodiment, rather than defining a time period, a trader may define aspecific time during a trading session when an order should be modified,such as deleted from an exchange, or cancelled/replaced with a neworder, depending on the order configuration. For example, a trader maydefine a specific time, such as 11:32 a.m., when an order should beautomatically deleted or when one or more order parameters should bemodified. In addition to defining when an order should be removed froman exchange, a trader may also define a time when the order should besubmitted to the exchange. It should be understood that timed ordersdescribed herein are not limited to being traded at a single electronicexchange, and the timed orders could be cross-exchange andcross-tradeable object orders.

The preferred method including the timed order entry and ordermodification is described in more detail with respect to the flowchart300 shown in FIG. 3. It should be understood that the flowchart in FIG.3 provides only an illustrative description of one method for the timedorder entry and modification, and that more or fewer steps may beincluded in the flowchart, and the steps may occur in one or more ordersthat are different from the order of the steps shown in FIG. 3. In oneembodiment, a trading application may perform the steps illustrated inFIG. 3, however, it should be understood that the preferred embodimentscan be readily applied to any other trading related application that hasan automatic, semi-automatic, or non-automatic order entry system.Further, it should be understood that the steps of the methodillustrated in FIG. 3 may be performed by one or more network entities,such a client device, gateway, and/or exchange, or a combinationthereof, using the teachings described herein.

At step 302, a trader defines an intra-trading day timed order to besent to an electronic exchange. It should be understood that rather thandefining a specific time or time period for each order, a trader maypredefine a default lifetime period for each order type. In such anembodiment, any time a trader decides to send a predetermined order typeto an electronic exchange, such an order is already associated with adefault time period that may be later changed by a trader to a differentvalue. For example, a trader may define one default time period, such as20 seconds, for a stop order, and another default time period, such as10 seconds, for a limit order.

As mentioned in earlier paragraphs, a timed order may be defined usingdifferent methods including defining a time period associated with atrigger activating the time period, e.g., good for a particular timeperiod order, where the trigger may be associated with a predeterminedevent, such as sending an order to an exchange or any other market dataor user data related event. Also, as mentioned earlier, the time periodmay dynamically vary during a trading session based on any user-definedformula. For example, the time period may vary based on time of day, sothat the time period associated with a timed order is longer at thebeginning of the trading session and gets shorter as the orders getsubmitted closer to the end of the trading session.

Also, as mentioned earlier, rather than defining a time period, a tradermay define a specific time during a trading session when the ordershould be modified, and another time during the trading session when theorder should be sent to the exchange. It should be understood that thespecific time when an order should be sent to an exchange may be definedin combination with a variable time period defined for the order. In apreferred embodiment, the time associated with each trigger is based onan exchange time rather than local time on client devices or gateways.However, the local time on the client device or gateway may besynchronized to the time being used at one or more electronic exchanges.

At step 304, the order is submitted to an electronic exchange. The ordermay be associated with one or more tradeable objects, such as a spreadbeing traded at one or more electronic exchanges. In an embodiment inwhich a trader defines a time at which to automatically enter the orderto an exchange, a trading application on a client device mayautomatically enter the order to the exchange once the predefined timeis detected. It should be understood that rather than a client deviceautomatically sending an order to an electronic exchange when an ordersubmission time is detected, the client device may send the order to anorder queue at a gateway before the order submission time is triggered.Then, the gateway rather than the client device may send the order tothe exchange when the time trigger is detected. Further, alternatively,an order associated with an order submission time trigger may be sent toan order queue at an electronic exchange at some time before the ordersubmission time is reached, and the exchange may activate the order oncethe time trigger is detected.

At step 306, if the order is not filled until the end of the specifiedtime period, the order is automatically modified. As mentioned earlier,it should be understood that an order may be deleted from by sending adelete action request to one or more exchanges associated with theorder, or cancelled/replaced with a new order by sending a“cancel/replace” request to one or more exchanges causing theexchange(s) to cancel the pending order and to replace it with a neworder. Further, alternatively, the order modification may trigger a“change” request causing one or more order's parameters to be changed atthe end of the specified time period or at a specified time. It shouldbe understood that if an order, such as a spread order, is associatedwith two or more tradeable objects being traded at two or moreelectronic exchanges, all order legs associated with the spread orderare automatically deleted from all electronic exchanges when thespecified time is reached. Alternatively, once one leg of a spread isfilled, a second timed spread leg order can be sent to the same ordifferent exchange. In such an embodiment, if the second leg does notget filled until a predetermined time, the order may be replaced with amarket order.

The order modification process may be accomplished using differentmethods. For example, a client device or a gateway may monitor ordermodification time periods or order modification time triggers, and maybe configured to send order modification requests to one or moreelectronic exchanges at the end of each order's lifetime. Alternatively,if an exchange is configured to process timed orders having timetriggers defined herein, the exchange may automatically modify one ormore user-defined order parameters, delete such orders at the end ofeach time period or upon detecting each order's delete time trigger, orcancel/replace the order with a new order.

In addition to defining when to modify an order from air exchange, theorder may be associated with a post modification action to be taken inresponse to modifying the order at one or more exchanges at apredetermined time during a trading session. At step 308, a tradingapplication at a client device or some other application at anothernetwork entity determines if a post-modification action has beenspecified for the order. If no post modification action has beenspecified, the method 300 terminates. Otherwise, at step 310, thetrading application processes one or more post modification actionsspecified for the order.

The post modification action may include a request to send one or morereplacement orders to one or more exchanges and for one or moretradeable objects. It should be understood that a replacement order maybe sent to the same or different exchange(s) and may be associated withthe same or different tradeable object(s) as the deleted order, forexample. It should be understood that a replacement order may be userconfigurable so that, for example, a trader can configure an orderprice, an order quantity, an order type, a name of tradeable object(s),and a name of electronic exchange(s) to which the replacement ordershould be submitted. Alternatively, a replacement order may beassociated with the same tradeable object as the deleted order, and anorder quantity of a replacement order may be set to an unfilled orderquantity of the deleted order. Additionally, in one embodiment, an orderprice of a replacement order may be based on a market level at the timeof submitting the replacement order to an electronic exchange. Forexample, a replacement order could be a market order such that thereplacement order is placed at inside market price. Alternatively,rather than defining the replacement order as a market order, a tradermay specify a number of ticks away from the market level at the timewhen the replacement order is to be submitted to an electronic exchange.

It should be understood that, in addition to configuring orderparameters, a replacement order could be also a timed order configuredusing one or more methods described above. Additionally, a user maycontrol when the replacement order is sent to an exchange. For example,a replacement order can be automatically sent to an exchange upondeleting the original order. Alternatively, the time when thereplacement order is submitted to the exchange may be user configurableso that a trader may configure a time trigger defining a time during atrading session at which the replacement order should be submitted toone or more exchanges. It should be understood that the time when theorder is modified may be during the trading session when the order issubmitted to one or more electronic exchange or any time during a nexttrading session.

According to one example embodiment, a trader may configure timed ordersusing graphical interfaces. Two of such interfaces will be describedbelow in reference to FIGS. 4 and 5. However, it should be understoodthat the present invention is not limited to the interfaces describedhereinafter, and different or equivalent interfaces could also be used.

FIG. 4 is an example graphical interface 400 for configuring timedorders according to one embodiment. According to the display 400, atrader can specify a Good From Time (“GFT”) order parameter 402, a GoodTill Time (“GTT”) order parameter 404, and a post cancellation orderparameter associated with one or more post order cancellation actions tobe taken when the original order is deleted. It should be understoodthat different methods Can be used to display the graphical interface400 via the trading interface. In one embodiment, a graphical selectionicon may be displayed in relation to a trading interface so that thetrader can activate the graphical interface 400 upon selecting thegraphical selection icon. Alternatively, the interface 400 may beactivated upon detecting one or more predetermined key selection inputs.Regardless of how the display 400 is activated, the trading applicationon the client device may display the graphical interface 400 to a traderso that the trader can configure one or more timed order parameters.

Upon selecting the GFT icon 402, a trader may select one of the timesdisplayed in association with a time range display 408 to specify a timeduring a trading session when an order should be submitted to anexchange. Similarly, the trader may specify the time at which the ordershould be automatically modified at the exchange by first selecting theGTT icon 404 and then selecting one of the times displayed inassociation with a time range display 410. As illustrated in FIG. 4, atrader could scroll down/up different times associated with the timerange displays 408 and 410 to select desired times defining when toenter and modify the order to/from an electronic exchange, respectively.However, it should be understood that different time selection meanscould also be used rather than the one illustrated in FIG. 4. As will beillustrated in FIG. 5, and as mentioned earlier, a trader could define atime period rather than a specific time to define when an order shouldbe modified at one or more exchanges. In such an embodiment, in additionto defining a time period, a trader could also define a trigger definingwhen a timer associated with the time period should be activated.

Also, as explained in greater detail in relation to the flow chart inFIG. 3, a trader may specify a post modification action to be processedonce the original order is deleted, for example. In the embodimentillustrated in relation to the display 400, the trader may select one ofthe post-modification actions by first selecting the Modification icon406 and then selecting one or more of the order modification actions412. It should be understood that when the trader selects one of theorder modification actions 412, such as a “Send Order” action, anotherinterface could be displayed to enable the trader to define areplacement order. Similarly, for example, when the trader selects a“Change Price” icon, another interface could be displayed so that atrader can define a price level for a replacement order. It should beunderstood that the order modification actions are not limited to theactions displayed in relation to the interface 400, and more, fewer,different, or equivalent actions could be defined as well. Additionally,the order modification actions could be user configurable, and theactions are not limited to sending a new order. For example, when anexchange supports the “Change” functionality, a trader may configure anorder so that rather than automatically deleting the order at apredefined time, one of the order parameters may be automaticallychanged when the predetermined time is detected.

It should be understood that the display for configuring timed orders isnot limited to the display illustrated in FIG. 4, and different displayscould also be used. FIG. 5 is a block diagram illustrating anotherexample graphical display 500 that may be used to configure timedorders. Using the graphical display 500, a trader may define defaultorder time periods for different order types so that every time thetrader submits a predetermined order type to an exchange, the orderremains unmodified until the end of the defined order time period. Inthe embodiment illustrated in FIG. 5, a timer associated with a timeperiod specified for the order may be activated when the order issubmitted to an exchange. However, alternatively, another interfacecould be displayed to enable a trader to define events that may activatethe timer associated with the time period. Then, if the order does notget filled during the predefined time period, the order may beautomatically modified at the end of the defined time period.

The graphical display 500 includes an order type selection display 502for displaying and enabling a trader to select a number of order types.The illustrated order types include a limit, stop, order cancel order(“OCO”), and spread order type. However, it should be understood thatdifferent order types could also be used, and the order types to bedisplayed via the order type selection display 502 may be userconfigurable. Once the order type is selected, such as a limit ordertype in FIG. 5, a trader may specify an order time period by inputting adesired time via a time period display 504 and selecting a time unitsuch as seconds, minutes, or hours displayed in relation to thenumerical time period. In the embodiment illustrated in FIG. 5, adefault order time period defined for a limit order is 20 seconds sothat every time a trader sends a limit order to any exchange, a timetrigger associated with the time period is activated and, if the orderdoes not get filled during 20 seconds, the order will be automaticallymodified.

Also, as mentioned earlier, a trader may configure a timed order so thatthe time period may dynamically vary based on a pluralityuser-configurable parameters. As illustrated in FIG. 5, a trader maydefine variance parameters via an interface 510 that allows a trader tovary the time period based on time of day, market data, trader data, orusing any user-configurable formula, for example. It should beunderstood that once a trader selects one of the options, anotherinterface could be displayed related to the selected option.

Similarly to the display described in reference to FIG. 4, the graphicaldisplay 500 includes a Modification icon 506 associated with a number ofModification Action icons 508 that have been described in reference toFIG. 4. As illustrated in FIG. 5, the action selected is “Make Market”so that if the original limit order is not filled or is partially filledduring the twenty seconds, the limit order is automatically deleted, anda replacement market order is placed to an electronic exchange. Itshould be understood that an order quantity of the replacement order maybe set to the unfilled order quantity of the limit order or to any otheruser-configurable quantity.

Similarly to other working orders, a trader would be able to view timedworking orders via a trading interface. In one embodiment, color-codingmay be used to distinguish working timed orders from other workingorders. For example, when a timed order is submitted to an exchange andis displayed via a trading interface as a working order, the timedworking order indicator can be color-coded using one or more userconfigurable colors. Then, as the time progresses and the order lifetimegets closer to the end, the color of the timed working order may changeto a different user-configurable color, such as red, for example. Itshould be understood that a trader could also configure when thecolor-coding of the working timed order changes. For example, one colorcan be used until an order half time, and then one or more other colorscould be used as the time gets closer to the end of the order lifetime.However, it should be understood that rather than color-coding timedorders, any user-configurable graphical indicators could be displayed inrelation to a timed working order to indicate that the order is a timedorder. Further, alternatively, a numerical indicator could be used inassociation with each working timed order to indicate the remaining timeuntil each order will be automatically modified. Also, rather than usingcolor-coding or numerical indicators, timed orders may start flashing asthe order time period gets closer to an end, and the frequency offlashing may depend on how soon the order will be deleted orcancelled/replaced by another order.

In one alternative embodiment, a trader may wish to prevent automaticmodification of the order at the end of predefined time period or at aspecific predefined time. For example, if a trader sees that the marketis moving in a direction of the price at which the timed order has beenplaced and the color-coding of the order indicates that the order'slifetime is about to expire, the trader may wish to keep the order onthe market rather than to have the order automatically modified, such asdeleted, at the end of the order lifetime. For example, to enable atrader to override an automatic deletion of a working timed order, atrading application may provide a user selection input that overridesthe automatic order deletion. Such user selection input may take manydifferent formats. For example, when a trader inputs one or more timedorders, a trading interface may automatically display a graphical userselection input that may be used by a trader to override the automaticorder deletion. In such an embodiment, a trader may first select adesired timed order and then the graphical user selection input tooverride the lifetime of the order. Alternatively, rather than using agraphical selection input, a trader may input a predetermined keycombination, or a mouse click. Further, alternatively, a user maydirectly click on the order, and such an action may activate extensionof an order time period by a predefined time period. It should beunderstood that rather than totally overriding the order lifetime byselecting a predetermined input, the selection of such an input maycause extension of the order lifetime by a predetermined,user-configurable time period.

It should be understood that the above description of the preferredembodiments, alternative embodiments, and specific examples, are givenby way of illustration and should not be viewed as limiting. Further,many changes and modifications within the scope of the presentembodiments may be made without departing from the spirit thereof, andthe present invention includes such changes and modifications.

Further, it will be apparent to those of ordinary skill in the art thatmethods involved in the system and method for timed orders in anelectronic trading environment may be embodied in a computer programproduct that includes one or more computer readable media. For example,a computer readable medium can include a readable memory device, such asa hard drive device, CD-ROM, a DVD-ROM, or a computer diskette, havingcomputer readable program code segments stored thereon. The computerreadable medium can also include a communications or transmissionmedium, such as, a bus or a communication link, either optical, wired orwireless having program code segments carried thereon as digital oranalog data signals.

The claims should not be read as limited to the described order orelements unless stated to that effect. Therefore, all embodiments thatcome within the scope and spirit of the following claims and equivalentsthereto are claimed as the invention.

1. A method for configuring and processing timed orders associated withat least one tradeable object being traded in an electronic tradingenvironment, the method comprising: defining at a computing device agood until time order, wherein the good until time order is associatedwith a first time trigger defining a first intra-trading session timewhen the good until time order is automatically modifiable on at leastone electronic exchange; submitting from the computing device the gooduntil time order to the at least one electronic exchange; andautomatically modifying the good until time order at the at least oneelectronic exchange upon detecting the first time trigger, wherein saidautomatically modifying includes at least one of replacing the gooduntil time order and modifying at least one order parameter associatedwith the good until time order.
 2. The method of claim 1, wherein thecomputing device includes a client device.
 3. The method of claim 1,wherein the computing device includes a trading application.
 4. Themethod of claim 1, wherein the automatic modification is initiated bythe computing device.
 5. The method of claim 1, wherein the automaticmodification is initiated by a gateway.
 6. The method of claim 1,wherein the automatic modification is initiated by the at least oneelectronic exchange.
 7. The method of claim 1, further comprising:defining an order submission time trigger for the good until time order,wherein the order submission time trigger is associated with anintra-trading session time defining when the good until time order issubmitted to the at least one electronic exchange.
 8. The method ofclaim 1, further comprising: defining at least one action to be taken inassociation with the good until time order responsive to detecting thefirst time trigger; and processing the at least one action responsive todetecting the first time trigger.
 9. The method of claim 8, wherein theat least one action comprises submitting a second order to the at leastone electronic exchange upon automatically modifying the good until timeorder.
 10. The method of claim 9, wherein the second order comprises auser configurable order.
 11. The method of claim 9, wherein the secondorder comprises a second good until time order.
 12. The method of claim9, wherein the second order comprises an order at a market price. 13.The method of claim 1, wherein the first intra-trading session time isdynamically variable based on at least one user-configurable event. 14.The method of claim 1, further comprising: before automaticallymodifying the good until time order, receiving a user input to changethe first intra-trading session time to a new intra-trading sessiontime; and dynamically changing the first intra-trading session time tothe new intra-trading session time.
 15. The method of claim 1, furthercomprising displaying an order indicator associated with the good untiltime order via a trading interface.
 16. A method for configuring andprocessing timed orders associated with at least one tradeable objectbeing traded in an electronic trading environment, the methodcomprising: defining at a computing device a good for time order,wherein the good for time order is associated with a time perioddefining how long the good for time order remains active on at least oneelectronic exchange; submitting from the computing device the good fortime order to the at least one electronic exchange; and automaticallymodifying the good for time order at the end of the time period, whereinsaid automatically modifying includes at least one of replacing the goodfor time order and modifying at least one order parameter associatedwith the good for time order.
 17. The method of claim 16, wherein thecomputing device includes a client device.
 18. The method of claim 16,wherein the computing device includes a trading application.
 19. Themethod of claim 16, wherein the automatic modification is initiated bythe computing device.
 20. The method of claim 16, wherein the automaticmodification is initiated by a gateway.
 21. The method of claim 16,wherein the automatic modification is initiated by the at least oneelectronic exchange.
 22. The method of claim 16, wherein the time periodcomprises a dynamically variable time period.
 23. The method of claim22, wherein the dynamically variable time period varies based on a userconfigurable formula.
 24. The method of claim 16, wherein the timeperiod is associated with a timer that triggers upon detecting apredetermined event.
 25. The method of claim 24, wherein thepredetermined event is user-configurable.
 26. The method of claim 24,wherein the predetermined event comprises an event associated withsubmitting the good for time order to the at least one electronicexchange.
 27. The method of claim 16, further comprising defining atleast one action to be taken in association with the good for time orderresponsive to modifying the good for time order.
 28. The method of claim27, wherein the at least one action comprises sending a second order toat least one electronic exchange.
 29. The method of claim 28, whereinthe second order comprises a second good for time order.
 30. The methodof claim 28, wherein the second order comprises an order at a marketprice.
 31. The method of claim 16, further comprising: beforeautomatically modifying the good for time order, receiving a user inputto change the time period to a new time period; and dynamically changingthe time period to the new time period.
 32. The method of claim 16,further comprising displaying an order indicator associated with thegood for time order via a trading interface.
 33. A computer readablemedium having stored therein instructions executable by a processor,wherein the instructions are executable to: define at a computing devicea good until time order, wherein the good until time order is associatedwith a first time trigger defining a first intra-trading session timewhen the good until time order is automatically modifiable on at leastone electronic exchange; submit from the computing device the good untiltime order to the at least one electronic exchange; and automaticallymodify the good until time order at the at least one electronic exchangeupon detecting the first time trigger, wherein said automaticallymodifying includes at least one of replacing the good until time orderand modifying at least one order parameter associated with the gooduntil time order.
 34. The computer readable medium of claim 33, whereinthe computing device includes a client device.
 35. The computer readablemedium of claim 33, wherein the computing device includes a tradingapplication.
 36. The computer readable medium of claim 33, wherein theautomatic modification is initiated by the computing device.
 37. Thecomputer readable medium of claim 33, wherein the automatic modificationis initiated by a gateway.
 38. The computer readable medium of claim 33,wherein the automatic modification is initiated by the at least oneelectronic exchange.
 39. The computer readable medium of claim 33,wherein the instructions are further executable to: define an ordersubmission time trigger for the good until time order, wherein the ordersubmission time trigger is associated with an intra-trading session timedefining when the good until time order is submitted to the at least oneelectronic exchange.
 40. The computer readable medium of claim 33,wherein the instructions are further executable to: define at least oneaction to be taken in association with the good until time orderresponsive to detecting the first time trigger; and process the at leastone action responsive to detecting the first time trigger.
 41. Thecomputer readable medium of claim 40, wherein the at least one actioncomprises submitting a second order to the at least one electronicexchange upon automatically modifying the good until time order.
 42. Thecomputer readable medium of claim 41, wherein the second order comprisesa user configurable order.
 43. The computer readable medium of claim 41,wherein the second order comprises a second good until time order. 44.The computer readable medium of claim 41, wherein the second ordercomprises an order at a market price.
 45. The computer readable mediumof claim 33, wherein the first intra-trading session time is dynamicallyvariable based on at least one user-configurable event.
 46. The computerreadable medium of claim 33, wherein the instructions are furtherexecutable to: before automatically modifying the good until time order,receive a user input to change the first intra-trading session time to anew intra-trading session time; and dynamically change the firstintra-trading session time to the new intra-trading session time. 47.The computer readable medium of claim 33, wherein the instructions arefurther executable to display an order indicator associated with thegood until time order via a trading interface.
 48. A computer readablemedium having stored therein instructions executable by a processor,wherein the instructions are executable to: define at a computing devicea good for time order, wherein the good for time order is associatedwith a time period defining how long the good for time order remainsactive on at least one electronic exchange; submit from the computingdevice the good for time order to the at least one electronic exchange;and automatically modify the good for time order at the end of the timeperiod, wherein said automatically modifying includes at least one ofreplacing the good for time order and modifying at least one orderparameter associated with the good for time order.
 49. The computerreadable medium of claim 48, wherein the computing device includes aclient device.
 50. The computer readable medium of claim 48, wherein thecomputing device includes a trading application.
 51. The computerreadable medium of claim 48, wherein the automatic modification isinitiated by the computing device.
 52. The computer readable medium ofclaim 48, wherein the automatic modification is initiated by a gateway.53. The computer readable medium of claim 48, wherein the automaticmodification is initiated by the at least one electronic exchange. 54.The computer readable medium of claim 48, wherein the time periodcomprises a dynamically variable time period.
 55. The computer readablemedium of claim 54, wherein the dynamically variable time period variesbased on a user configurable formula.
 56. The computer readable mediumof claim 48, wherein the time period is associated with a timer thattriggers upon detecting a predetermined event.
 57. The computer readablemedium of claim 56, wherein the predetermined event isuser-configurable.
 58. The computer readable medium of claim 56, whereinthe predetermined event comprises an event associated with submittingthe good for time order to the at least one electronic exchange.
 59. Thecomputer readable medium of claim 48, wherein the instructions arefurther executable to define at least one action to be taken inassociation with the good for time order responsive to modifying thegood for time order.
 60. The computer readable medium of claim 59,wherein the at least one action comprises sending a second order to atleast one electronic exchange.
 61. The computer readable medium of claim60, wherein the second order comprises a second good for time order. 62.The computer readable medium of claim 60, wherein the second ordercomprises an order at a market price.
 63. The computer readable mediumof claim 48, wherein the instructions are further executable to: beforeautomatically modifying the good for time order, receive a user input tochange the time period to a new time period; and dynamically change thetime period to the new time period.
 64. The computer readable medium ofclaim 48, wherein the instructions are further executable to display anorder indicator associated with the good for time order via a tradinginterface.